Holm-Bonferroni Step-Down Procedure
The Holm-Bonferroni step-down procedure, introduced by Sture Holm in 1979, is a sequentially rejective multiple-testing method that strongly controls the family-wise error rate at level while being uniformly more powerful than the single-step Bonferroni correction. Given hypotheses with p-values , sort them in ascending order as with corresponding hypotheses . For in turn, compare . If the inequality holds, reject and proceed to step . At the first index where the inequality fails, stop and retain . The thresholds increase from at step 1 to at step , so any hypothesis rejected by Bonferroni is also rejected by Holm, but Holm can reject additional hypotheses once earlier ones have been rejected. The procedure controls strongly under any joint distribution of the test statistics.
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